Title of article :
Trading activity as driven Poisson process: Comparison with empirical data
Author/Authors :
V. Gontis، نويسنده , , B. Kaulakys، نويسنده , , J. Ruseckas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled stochastic differential equation provides the universal description of the trading activities with the same parameters applicable for all stocks
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications